Nowcasting causality in mixed frequency vector autoregressive models

T.B. Götz, A.W. Hecq

Research output: Contribution to journalArticleAcademicpeer-review

Abstract

This paper introduces nowcasting causality as the mixed-frequency version of instantaneous causality. We analyze the relationship between nowcasting and Granger causality in a mixed-frequency VAR and illustrate its impact on the significance of high-frequency variables in mixed-frequency conditional models.
Original languageEnglish
Pages (from-to)74-78
Number of pages5
JournalEconomics Letters
Volume122
Issue number1
DOIs
Publication statusPublished - 1 Jan 2014

Keywords

  • Instantaneous causality
  • Granger causality
  • Mixed-frequency VAR
  • Mixed-frequency regression
  • NUISANCE PARAMETER
  • HYPOTHESIS

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